Which incident shows that Mourad is courageous?

My personal view may go against the grain with regard to the messages conveyed by this story. I don't see anything especially courageous about Mourad. The incident with the white horse is an instance of an anarchic strain that runs through Saroyan's work. His characters often flout law and convention, but in this case, it's not really justified by anything else in the story.
Saroyan's characters are essentially displaced people, having been exiled from their homeland by the Armenian genocide and the pogrom-like massacres that preceded it. John Byro, we are told, is an Assyrian, a member of another marginalized group within the Ottoman Empire, with its own diaspora in the New World, like that of the Jews, Greeks, Armenians, and others. Though no actual harm comes of the theft of the horse, it's difficult to sympathize with the boys' act, especially when we are told that Byro is a lonely man who has learned to speak Armenian so he can bond with Uncle Khosrove and drink coffee and smoke cigarettes with him (two essential things for male friendship in many Mediterranean and Middle Eastern cultures). That said, Mourad's independence of spirit is an emblem of the very freedom that these displaced peoples lacked in the Old World and sought in America. It's the polar opposite of the restrictions and the timidity forced upon an oppressed people, and in that sense, Saroyan sees it as a positive, admirable quality.

One could argue that Mourad's stealing of the white horse is courageous as well as foolish and wrong. Whatever we might think of Mourad's actions, there's no doubt that for a boy of his age to control an animal of that size takes some gumption. It's often said that there's a fine line between foolishness and bravery, and it's fair to say that Mourad, in stealing the white horse, blurs that distinction.
A whole different kind of courage—one considerably more deserving of admiration—can be seen in Mourad's decision to return the white horse to John Byro, its rightful owner. Mourad has grown rather attached to the white horse—aptly renamed My Heart—and so it's a bit of a wrench for him to have to separate from his beloved animal. But Mourad has changed considerably over the course of this unforgettable summer, his moral courage developing out of a growing maturity in his whole character and outlook.